Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0338
Annualized Std Dev 0.1980
Annualized Sharpe (Rf=0%) 0.1708

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1136
Quartile 1 -0.0056
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0065
Maximum 0.1279
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0125
Skewness 0.2587
Kurtosis 12.6604

Downside Risk

Close
Semi Deviation 0.0089
Gain Deviation 0.0090
Loss Deviation 0.0094
Downside Deviation (MAR=210%) 0.0137
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.5567
Historical VaR (95%) -0.0185
Historical ES (95%) -0.0291
Modified VaR (95%) -0.0162
Modified ES (95%) -0.0162
From Trough To Depth Length To Trough Recovery
2000-12-14 2002-10-09 2006-08-21 -0.5567 1427 454 973
2007-12-11 2009-03-09 2014-10-24 -0.4876 1731 312 1419
2020-02-19 2020-03-23 NA -0.3670 275 24 NA
1999-07-22 2000-02-25 2000-09-28 -0.2504 302 152 150
2015-01-30 2015-09-04 2016-03-29 -0.1710 292 152 140

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.2 -1.5 2.1 -1.3 -0.1 -0.4 0.2 0.4 -0.7 0.9 0.5 0.9 0.9
2000 -0.7 4.4 0.6 0 0.7 -2.4 2.2 1.2 1.5 -0.6 -1.9 1.1 6.1
2001 1.2 -1.1 0.7 0.9 -0.8 1.1 1.2 0.1 0.9 0.8 -0.4 0 4.6
2002 0.2 2.2 -1 0.9 -0.8 -2.1 -1.5 -1.5 1.6 0.5 0.4 -0.2 -1.3
2003 1.1 -0.1 0.7 -1.4 1 -0.7 -0.4 0.2 0.1 -0.2 0.3 -0.2 0.5
2004 -0.2 0.5 0.3 -0.1 -0.1 -1.2 0.7 -0.3 0.8 0.8 -0.9 -0.5 -0.2
2005 0.7 0.3 0.3 1.4 1.3 0.9 -1.3 1.6 -0.1 -2 0.4 -0.5 2.9
2006 0.3 -0.3 -0.7 -0.9 1 0.4 1.2 0.1 -1 0.6 -0.1 0 0.6
2007 0.8 0.5 -1 0.8 -0.5 0.8 2.3 -0.2 1.4 -2 0.7 -1.4 2
2008 2.6 -2.9 2.6 1.2 -0.7 0.5 -2.9 -1.4 -0.4 -2.7 -6.6 1.6 -9.1
2009 -2 -1.6 0.4 2.6 3.2 1.3 -1.3 -0.8 -1.7 -1.9 1.9 -1.4 -1.4
2010 0.6 1.4 1.4 0.4 -2.3 -0.5 -0.5 2.2 0.5 -1 1.2 0 3.5
2011 1 -1 0.8 0.2 -1 1.2 0.3 -0.6 -1.1 -2.1 -0.3 -0.7 -3.4
2012 0.3 0.3 0.5 0.5 -0.4 0.6 -0.8 -0.1 -0.5 -1 1.1 1.4 1.8
2013 0.3 0.2 -0.2 -1 -0.6 -1.2 0.8 0.1 0.3 0.7 -0.1 0.2 -0.6
2014 0.8 0.7 -0.7 0.4 0.7 -1 0.4 0.7 0.6 0 0.2 -1.8 0.9
2015 -2.2 -0.1 0.1 0.6 0.1 0.6 1 -2.7 -1.2 0.5 0.8 -1.1 -3.6
2016 0.9 -0.5 0.4 0.6 0.3 0 0.1 -0.5 -0.7 -1.8 -0.8 -0.6 -2.6
2017 -1.7 -0.9 0.4 -0.6 0.7 -0.2 0.6 -0.3 -0.1 -0.6 -0.3 0.1 -2.9
2018 -1.6 0 0.5 -0.3 -1.5 0.2 -0.6 -0.4 -0.3 -0.4 1.5 0.2 -2.9
2019 -0.4 0.2 -0.7 -1 0.5 -0.3 1 0 -0.2 -0.2 -0.1 0.4 -0.8
2020 -0.4 -3.3 -6 -2.4 1.2 2.3 0.2 -1.1 1 -0.9 0.7 1.5 -7.4
2021 0.5 2.2 0.3 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  29.8 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  30.1 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  30.4 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  30.3 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  30.5 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  29.7 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart